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Re: st: negative R-squared in gmm
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: negative R-squared in gmm
Date
Sun, 25 Jul 2010 06:25:35 -0400
<>
On Jul 25, 2010, at 2:33 AM, Jing wrote:
> I am using "xtivreg2 dep indep (indep=iv) , fe gmm bw (1) robust" to my data. but the centered and uncertered R-squared are both negative. Could you please advise me whether this is acceptable. if not, what are the potential problems, and how can I refine my model?
Negative r^2 measures in any instrumental variables estimation are quite common. IV does not minimize the sum of squared residuals (y- Xb ), but rather the sum of squared residuals (y - Zb). Using GMM, the same issue arises. And in a fixed effect model, there is no single definition of r^2 anyway.
By the way bw(1) in this context does absolutely nothing. If you want to allow for one period of serial dependence, you want bw(2).
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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